1 citations · 1 across the 4 of their papers we have counts for
4 papers
A randomisation method for mean-field control problems with common noise
Robert Denkert, Idris Kharroubi, Huyên Pham
We study mean-field control (MFC) problems with common noise using the control randomisation framework, where we substitute the control process with an independent Poisson point pr…
Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
Robert Denkert, Huyên Pham, Xavier Warin
We propose a comprehensive framework for policy gradient methods tailored to continuous time reinforcement learning. This is based on the connection between stochastic control prob…
Extended mean-field games with multi-dimensional singular controls and non-linear jump impact
Robert Denkert, Ulrich Horst
We establish a probabilistic framework for analysing extended mean-field games with multi-dimensional singular controls and state-dependent jump dynamics and costs. Two key challen…
Mean-field control problems with multi-dimensional singular controls
Robert Denkert, Ulrich Horst
We consider extended mean-field control problems with multi-dimensional singular controls. A key challenge when analysing singular controls are jump costs. When controls are one-di…